A general and comprehensive toolkit for generating finite difference formulas, working with Taylor series expansions, and teaching/learning finite difference formulas in Python ...

Pricing European/American option using Explicit Finite-Difference method, Implicit Finite-Difference method, and Crank-Nicolson Finite-Difference method.

Simultaneous perturbation stochastic approximation method was shown to be superior over finite difference (Kiefer-Wolfowitz) method in case of unknown but bounded additive measurement noise.

The finite difference approximations are then substituted into the partial differential equations to obtain algebraic equations at each grid point, which can then be solved for the temperature. Look ...

Abstract: Estimating stochastic gradients is pivotal in fields like service systems in operations research. The classical method for this estimation is the finite-difference approximation, which ...

Physics and Python stuff. Most of the videos here are either adapted from class lectures or solving physics problems. I really like to use numerical calculations without all the fancy programming ...

We show that there exists a unique difference solution which is unconditionally stable. Using the notion of viscosity solutions, we also prove that the finite difference solution converges uniformly ...